The Quad-Capture is a sound card, not a MIDI sound bank module. You need to insert a soft synth into Sonar so it can play the MIDI. MIDI is not sound and it has no sound. Its just DATA. This Data instructs the soft synth, "that you need to insert," and plays the sounds of that soft synth.
There are great tutorials on how to use soft synths in sonar. I would go through them to learn how to use MIDI.
CJ